QuoteOriginally posted by: CactusHi, as a young structurer newly arrived in in London I was excited seeing the large mrtk move following the Friday's data, with the Bund falling 1.50 figures.....So i went to a trader I knew was long volatility and started asking him about his vigorous P&L.... But he started shouting at me....Back to my seat i saw the broker lowered the quoted (yield) vols, so the trader was losing a large amount of money (vega*change in the page of the yield vols), even if, as i computed later, the normalised vols (yield*atm rates) were leaved pretty unchanged.....Why a trader long vega loses money witha very big market movement? The normalised vols were unchanged, and these vols are usually (research by oter banks, trading stategies etc...)used to represent market volatility..but the P&L is computed using yield vols!....CactusThere is not any one consistent system between banks for how vols, and vega P+Ls are quoted. The sustem he had was effectively making him long delta, which is where the loss came from.It is probably better to look at vega and delta from the viewpoint of vols being normal locally, and to hedge to this. His delta probably had a vega component in it which it should not have.It is quite striking how badly non-trading staff can time their comments when a trader is having a bad day. I have heard a middle office guy tell a trader about a friend of his, that was so intelligent, and had gone hugely short, when he knows that the trader has just dropped his year's P+L through the market dumping.Even when a big move has gone in someone's favour, they will often be feverishly trying to lock in what they can, or to estimate second order effects, or what their new positions are, and so will not appreciate someone attempting to engage them in conversation until after the day is over.People get very personally involved in their books. We can become quite irrational when things are kicking off in a big way.